Journal of the Korean Statistical Society

  • 제24권1호
  • /
  • Pages.77-90
  • /
  • 1995
  • /
  • 1226-3192(pISSN)
  • /
  • 2005-2863(eISSN)
한국통계학회 (The Korean Statistical Society)
권호 표지

Relations Between the Lagrange Multiplier Tests and t-statistics for Seasonal Unit Roots

  • Park, Young-Jin (Department of Computer Science and Statistics, Seoul Natioanl University, Seoul 151-742) ;
  • Cho, Sin-Sup (Department of Computer Science and Statistics, Seoul Natioanl University, Seoul 151-742)
  • 발행 : 1995.06.01
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초록

The Lagrange multiplier test statistics for seasonal unit roots are derived and the asymptotic distributions of the derived statistics are obtained. The relationship between the derived LM test statistics and the "DHF" type regression t statistics are shown.are shown.

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참고문헌

  1. The Annals of Statistics v.16 no.1 Limiting Distributions of Least Squares Estimates of Unstable Autoregressive Processes Chan,N.H.;Wei,C.Z.
  2. To appear in Statistics & Probability Letters Unit Root Tests for Seasonal Models with Deterministic Trends Cho,S.;Park,Y.J.;Ahn,S.K.
  3. Journal of the American Statistical Association v.74 Distribution of the Estimators for Autoregressive Time Series with a Unit Roots Dickey,D.A.;Fuller,W.A.
  4. Journal of the American Statistical Association v.79 Testing for Unit Roots in Seasonal Time Series Dickey,D.A.;Hasza,D.P.;Fuller,W.A.
  5. Economic Letters v.31 Extended Tabulations for Dickey-Fuller Tests Guilkey,D.K.;Schmidt,P.
  6. Journal of the American Statistical Association v.79 The Order of Differencing in ARIMA Models Solo,V.